Developing new portfolio strategies by aggregation

DOI10.1007/S10479-019-03207-0MaRDI QIDQ827154zbMATH OpenOpenAlexWikidataFDO

Authors Giovanni Bonaccolto, Sandra Paterlini

Publication date 6 January 2021

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-019-03207-0

zbMATH Keywords

aggregation of strategiesasset allocationperformance evaluationportfolio optimization

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A well-conditioned estimator for large-dimensional covariance matrices
• Adaptive Regression by Mixing
• Aggregating regression procedures to improve performance
• Combining different procedures for adaptive regression
• Computing efficient frontiers using estimated parameters
• Empirical properties of asset returns: stylized facts and statistical issues
• Online portfolio selection: a survey
• Resampling methods for dependent data
• The Stationary Bootstrap
• Universal Portfolios

Cited in

(5)

• Quantile-based portfolios: post-model-selection estimation with alternative specifications
• Dynamic large financial networks \textit{via} conditional expected shortfalls
• Bagged Pretested Portfolio Selection
• Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem
• Mixed frequency data and portfolio selection: a novel approach integrating DEA with mixed frequency data sources

Describes a project that uses

Uses Software

• OLPS

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